SSJ Options Strategy

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/CL Momentum Credit Spreads

  • Summary
      • This is a directional momentum system using Crude Oil futures options credit spreads (/CL options) to achieve superior risk-adjusted returns by combining trend following and option theta decay.
      • This system employs an acceptance filtering technique to reduce the effects of typical stop running whipsaws.
    •  Entry
      • Setup: 10 day Donchian Channel, aka “Price Channel”, (DCH-10) has been exceeded and DCH-5 exceeded by 1% when going long or -1.5% when going short.
      • Spread: Enter using a 200+ DTE credit spread, with 20 delta on the short and 20% of the income spent on the long strike (as close as possible for that 20%).
      • Size: Enter 1 credit spread if the width of the DCH-5  > 3.5 pts. 2 spreads if <= 3.5.
  • Monitoring
      • Set alerts on the counter trend size of the DCH-5 +1% on Long and -1.5% on Short.
  • Exit(s)
  • Exit on the touch of the counter trend side of DCH-5 -1.5% when holding a long position or +1% when holding a short position from previous day.
      • Exit on stop of -33% of income (credit) received (the range of -28% to -38% is good)
      • Exit on profit target of +85% of income (between 80% and 100% is good)
      • Record the first day’s exit level (DCH-5 -1.5%/1.0%), use this as a fixed stop
  • Risk(s)
      • Hard counter trend moves
      • Full risk of credit spread
  • Edge(s)
    • Momentum, this market trends better than most 
    • Acceptance of level filter, higher volatility entry
    • Theta decay of the options when following trend or congesting.
 Indicator layout: 
  • Red – 5d DCH used for width
  • Yellow – 5d DCH with acceptance filter offset 1 day
  • Magenta – 10d DCH

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If you have any questions or need further clarification, please send a message in the slack channel.

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History *

Returns are based on an estimated $3,000 total margin required with a
recommended $11,000 account allocation to trade up to two contract in the market.

Overview

The SSJ trading strategy is a hybrid model for momentum and market neutral income. It is deployed in the options on Crude Oil futures (CL).

* Please note that all trades are computer simulated. We have done our best to estimate market factors such as commissions and liquidity, however all computer simulations and even historic live trading cannot fully account for variations in commission rates, liquidity issues, and slippage. Please review other important disclosures.

Statistics

0 %
Annual Return on Allocation
0 %
Annual Ret/Margin
7 %
Max Drawdown
0
aRet/MDD
0 %
Win Rate
$ 100
Minimum Allocation
100
Trades
50
Average Hold

How The Strategy Works

  • Defined risk on every trade. There are no naked options, no short futures, or any other form of unlimited risk type of trades.
  • Momentum priority. The dominant trend and momentum of the market is always respected so that we can benefit from long lasting trends and avoid being on the wrong side of market crashes.
  • Income over home runs. We opt to see income from positive Theta rather than catching giant returns from long premium. This allows for far more consistent returns while giving up only a small amount of long term upside. 

Strategy Team

Bruce Bitner

Funded trader in the Falde Trading incubator program and designer of the SSJ strategy.

Andrew Falde

Adviser and manager for prop firm, fund, and individual clients. Founder of Falde Capital Management and Falde Trading.

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